He was identified as Jean-Claude Dubus Arnaud, 56, deputy information chief officer at the French Embassy in Bangkok.
Pol Lt-Colonel Insorn Udtip, chief investigator of Yannawa Police Station, was alerted about a foreigner falling to his death from the Skytrain station at about 4pm. Found on the body was a name card and passport identifying the deceased.
According to security camera footage, the diplomat was seen arriving at the scene on a motorcycle taxi.
Embassy representatives have been invited to the scene, Insorn said, adding that police are investigating the case.